From mboxrd@z Thu Jan 1 00:00:00 1970 From: Faheem Mitha To: Brian Gough Cc: Subject: calculating matrix inverses (was Re: modifying matrix allocationfunctions for use with R) Date: Wed, 19 Dec 2001 13:20:00 -0000 Message-id: References: <15300.16522.24552.163786@debian> X-SW-Source: 2001/msg00590.html On Wed, 10 Oct 2001, Brian Gough wrote: > Faheem Mitha writes: > > Incidentally, it is a little awkward to compute the inverse of a matrix, > > since this involves calling both int gsl_linalg_LU_decomp and int > > gsl_linalg_LU_invert. Would it not be useful to have a "wrapper" function > > which uses both together? > > Maybe, but in this case computing the inverse matrix is not something > I want to encourage, as it's usually better to solve Ax=b instead. This is an odd thing to say. I want to calculate the inverse of (HH^t)^{-1} H, where H is a given matrix, as part of simulating from a multivariate normal distribution (the given expression is the mean). How does this correspond to solving a linear system? I assume you mean here that A is a matrix and x and b are vectors? I seem to have no option in this case but to use gsl_linalg_LU_decomp aned gsl_linalg_LU_invert. If there are any other options I would appreciate being made aware of them. Sincerely, Faheem Mitha.